Real Effects of Quantitative Easing at the Zero-Lower Bound: Structural VAR-based Evidence from Japan

Heike Schenkelberg () and Sebastian Watzka

No 3486, CESifo Working Paper Series from CESifo

Abstract: Using post-1995 Japanese data we propose a theory-based sign-restriction SVAR approach to identify monetary policy shocks when the economy is at the zero-lower bound. The identifying restrictions accord with predictions of corresponding DSGE models. Our results show that while a quantitative easing shock leads to a significant but temporary rise in output, the effect on inflation is not significantly different from zero. This suggests that while the Japanese Quantitative Easing experiment was successful in stimulating real activity in the shortrun, it did not lead to any increase in inflation. These results are interesting not only for Japan, but also for other advanced economies where monetary policy is currently constrained by the ZLB.

JEL-codes: E43 E51 E52 E58 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (11)

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Related works:
Journal Article: Real effects of quantitative easing at the zero lower bound: Structural VAR-based evidence from Japan (2013)
Working Paper: Real effects of quantitative easing at the zero lower bound: Structural VAR-based evidence from Japan (2013)
Working Paper: Real effects of Quantitative Easing at the Zero-Lower Bound: Structural VAR-based evidence from Japan (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_3486

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